Search Results for Collection: College of Business and Law

We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...

A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility ...

In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio.
Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using
variance ...

This paper examines the impact of investor preferences on the optimal futures hedging strategy
and associated hedging performance. Explicit risk aversion levels are often overlooked
in hedging analysis. Applying a ...